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还是星宇好 · 2020年08月08日

问一道题:NO.PZ2020021205000012

问题如下:

"Delta hedging a short position in a call option is a 'buyhigh, sell-low' trading strategy." Explain this statement.

选项:

解释:

Delta hedging involves buying 6 shares for each option sold, where 6 is the delta of a long position in the option. As the share price rises, delta increases and more shares have to be bought. As the share price falls, delta decreases and shares have to be sold. The trader is therefore always buying after a price increase and selling after a price decrease.

老撕,为什么股价下跌,delta也会下跌,从后引发答案后面的那一串解释


1 个答案

袁园_品职助教 · 2020年08月09日

同学你好!

这道题目老师上课是讲过的,你可以再去听一下“Delta,Delta Hedging”这一节的视频,两倍速19分左右开始

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2023-06-17 12:47 1 · 回答

第一句话的6是不是跟答案没啥关系?

2020-07-01 19:42 1 · 回答